RPEIF
Computation and Plots of Influence Functions for Risk and Performance Measures
Computes the influence functions time series of the returns for the risk and performance measures as mentioned in Chen and Martin (2018) <https://www.ssrn.com/abstract=3085672>, as well as in Zhang et al. (2019) <https://www.ssrn.com/abstract=3415903>. Also evaluates estimators influence functions at a set of parameter values and plots them to display the shapes of the influence functions.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.2.5 |
2026-04-09 windows/windows R-4.5 | RPEIF_1.2.5.zip |
483.6 KiB |